FG_data: High-dimensional macroeconomic data set used in Forni and...

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

High-dimensional macroeconomic data set used in Forni and Gambetti (2010)

Description

This data is used by Forni and Gambetti (2010) in their monetary policy study using dynamic factor models. The data spans the period between March 1973 and November 2007 and includes 112 macroeconomic variables. The data is included in this package for purposes of comparison to the main data set used in the empirical exercise, FRED-MD. The method of obtaining this data set from the raw data is described in the script data-raw/DATASET.R.

Usage

FG_data

Format

A list with the following elements

df

T x n data frame where T is the time-series dimension, and n is the cross-sectional dimension

data

Date variable giving the time span of the data

trans_ix

Variable transformation codes with the interpretation as in McCracken and Ng (2016)

Source

http://pareto.uab.es/lgambetti/ReplicaForniGambettiJME.zip

References

Forni, M., & Gambetti, L. (2010). The dynamic effects of monetary policy: A structural factor model approach. Journal of Monetary Economics, 57(2), 203-216.

McCracken, M. W., & Ng, S. (2016). FRED-MD: A monthly database for macroeconomic research. Journal of Business & Economic Statistics, 34(4), 574-589.

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.